Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0513
Annualized Std Dev 0.2056
Annualized Sharpe (Rf=0%) 0.2495

Row

Daily Return Statistics

Close
Observations 3574.0000
NAs 1.0000
Minimum -0.0978
Quartile 1 -0.0057
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0069
Maximum 0.1262
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0129
Skewness -0.2381
Kurtosis 7.0575

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0088
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.5389
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0200
Modified ES (95%) -0.0354
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-17 NA -0.5389 2409 1088 NA
2008-03-17 2008-11-12 2009-11-09 -0.3609 418 169 249
2009-12-03 2010-02-08 2010-05-11 -0.1481 109 45 64
2011-05-02 2011-05-05 2011-08-03 -0.1219 66 4 62
2011-01-03 2011-01-27 2011-02-23 -0.0924 36 18 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -1.5 0.3 -1 1.8 -0.2 -0.3 1.3 0.4 -0.6 -1.6 -0.5 -1.2
2008 -2.2 0.3 -4.2 -3.2 1.4 1.8 -0.7 -0.4 1.9 -1.8 -7.4 0.9 -13.3
2009 2.9 -0.3 0.7 -0.1 -0.5 1.4 2.2 0.6 -1.1 -0.4 1.9 0.3 7.8
2010 2.2 -0.1 1.5 0.9 0.7 -4 1.2 -0.2 0.9 -0.5 0.2 1.1 4
2011 0.9 1.8 -0.2 1.1 -1.1 -1.2 -0.7 0 -0.6 -0.6 -0.4 0.9 0
2012 0.6 1.7 0.5 -0.2 3.5 3 -1.2 2.6 0.4 -0.4 -1.1 1 10.6
2013 0.4 -0.2 -0.1 -1.4 -2 1.4 -1 -1.1 -2.8 -0.8 1.2 0.3 -5.9
2014 0 -0.6 -0.2 -0.6 -0.6 -0.2 0.5 -0.2 0.5 -2.3 4.9 -1.7 -0.6
2015 2.2 0.2 1.8 -0.5 0 -0.4 0.4 0.3 -0.1 -0.4 0.4 0 3.9
2016 1.2 -0.6 -1.1 1.9 0.1 2.3 0 0.4 -0.1 1.1 -0.2 -0.9 4
2017 -0.2 0 0.2 -1.2 -0.1 -0.3 0 0.4 -0.6 0.8 0.3 0.6 -0.1
2018 0 -0.1 0.1 -0.8 -0.3 0.6 -0.8 0 -0.4 1.8 -0.4 0.4 0
2019 -0.4 -2 -0.3 -0.9 1.2 -1.6 2 -0.2 0.7 0.1 0.5 0.1 -1
2020 0.6 -4.4 0.7 0.3 1.4 -0.5 1.6 -0.1 1.6 0.7 2.6 0.1 4.6
2021 2.4 -0.3 0.6 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  24.0 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  24.3 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  24.5 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  24.4 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  24.4 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  25   SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart